Testing for deterministic trend and seasonal components in time series models

DOI10.1093/BIOMET/70.3.673MaRDI QIDQ3672934zbMATH OpenOpenAlexFDO

Authors L. Franzini, Andrew C. Harvey

Publication date 1983

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/3c0d1b01fec4ec6f5e1285fd3273930a368ea99b

zbMATH Keywords

deterministic trendforecastinggeneralized least squaresmost powerful invariant testseasonal componentstables of critical valuestime series modelstime-varying parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(7)

• Changes in seasonal patterns. Are they cyclical?
• A simple test for stable seasonality
• A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
• Time series analysis of covariance based on linear transfer function models
• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• Changes in seasonal patterns
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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